文章基本信息

标题：Credit Cycles, Credit Risk, and Prudential Regulation
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作者：Gabriel Jiménez ; Jesús Saurina
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2006
卷号：2006
期号：02
出版社：IJCB Publications Fulfillment
摘要：This paper finds strong empirical support of a positive, although quite lagged, relationship between rapid credit growth and loan losses. Moreover, it contains empirical evidence of more lenient credit standards during boom periods, both in terms of screening of borrowers and in collateral requirements. We find robust evidence that during upturns, riskier borrowers get bank loans, while collateralized loans decrease. We develop a regulatory prudential tool, based on a countercyclical, or forward-looking, loan loss provision that takes into account the credit risk profile of banks’ loan portfolios along the business cycle. Such a provision might contribute to reinforce the soundness and the stability of banking systems.